We consider the problem of learning to play a repeated multi-agent game with an unknown reward function. Single player online learning algorithms attain strong regret bounds when provided with full information feedback, which unfortunately is unavailable in many real-world scenarios. Bandit feedback alone, i.e., observing outcomes only for the selected action, yields substantially worse performance. In this paper, we consider a natural model where, besides a noisy measurement of the obtained reward, the player can also observe the opponents' actions. This feedback model, together with a regularity assumption on the reward function, allows us to exploit the correlations among different game outcomes by means of Gaussian processes (GPs). We propose a novel confidence-bound based bandit algorithm GP-MW, which utilizes the GP model for the reward function and runs a multiplicative weight (MW) method. We obtain novel kernel-dependent regret bounds that are comparable to the known bounds in the full information setting, while substantially improving upon the existing bandit results. We experimentally demonstrate the effectiveness of GP-MW in random matrix games, as well as real- world problems of traffic routing and movie recommendation. In our experiments, GP-MW consistently outperforms several baselines, while its performance is often comparable to methods that have access to full information feedback.

@inproceedings{fiducioso19bo4pid,
	author = {Fiducioso, Marcello and Curi, Sebastian and Schumacher, Benedikt and Gwerder, Markus and Krause, Andreas},
	booktitle = {Proceedings of the 28th International Joint Conference on Artificial Intelligence},
	month = {December},
	organization = {AAAI Press},
	pages = {5850--5856},
	title = {Safe contextual Bayesian optimization for sustainable room temperature PID control tuning},
	year = {2019}}